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Statistics Essay

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MATHEMATICAL FORECASTING USING THE BOX-JENKINS METHODOLOGY

TECHNICAL BRIEFING

JOSEPH GEORGE CALDWELL, PHD

Note: The document The Box-Jenkins Forecasting Technique, posted at http://www.foundationwebsite.org/BoxJenkins.htm , presents a nontechnical description of the Box-Jenkins methodology.   For a technical description of the Box-Jenkins approach, see the document, TIMES Box-Jenkins Forecasting System, posted at http://www.foundationwebsite.org/TIMESVol1TechnicalBackground.htm .   A computer program that can be used to develop a broad class of Box-Jenkins models is posted at the Foundation website, http://www.foundationwebsite.org (6 February 2009).

• 1. MATHEMATICAL FORECASTING CONCEPTS (20-30 MINUTES)

• 2. TECHNICAL INTRODUCTION TO THE BOX-JENKINS METHODOLOGY (20-30)

• 3. FORECASTING ACCURACY COMPARISONS (5-10)

• 4. MODEL BUILDING WITH THE BOX-JENKINS METHODOLOGY (40-60)

• 5. APPLICATION TO ECONOMETRIC AND CONTROL PROBLEMS (10-15)

1. MATHEMATICAL FORECASTING CONCEPTS

MATHEMATICAL FORECASTING METHODOLOGY (“FORECASTER”)

BASED ON A MATHEMATICAL MODEL OF THE PROCESS

TWO APPROACHES

• MODEL FITTING (INTUITIVE, HEURISTIC)

• MODEL BUILDING (THEORETICAL FOUNDATION)

HEURISTIC FORECASTERS

A PARTICULAR MODEL IS FITTED TO DATA

EXAMPLES:

• MOVING AVERAGE
• EXPONENTIAL SMOOTHING
• TRENDS, CURVES, HARMONICS, PATTERNS

GOOD FIT → GOOD FORECAST?

GOOD MODEL → GOOD FORECAST

NEED TO BUILD A GOOD MODEL

MODEL BUILDING

CHOOSE A COMPREHENSIVE CLASS OF MODELS

• IDENTIFICATION
• FITTING
• DIAGNOSTIC CHECKING

CLASSES OF MODELS (FOR PREDICTION AND CONTROL)

ECONOMETRIC MODELS

• DYNAMIC CAUSAL MODEL (MANY VARIABLES)
•...

• Submitted by: 00picardo
• on April 17, 2011
• Category: Science And Technology
• Length: 2,266 words
• Views: 611
• Popularity Rank: 250674
• 1 rating(s)

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Statistics. Anti Essays. Retrieved August 20, 2018, from the World Wide Web: https://www.antiessays.com/free-essays/Statistics-84774.html